You need a program like WinZip or WinRAR to unzip the file. WinZip is more or less the standard program that people used to decompress these files. If you have WinZip on your computer, you can right-click on the file's icon and you should be able to select WinZip -> extract to. You specify where you want to unzip the files (such as desktop, or my documents etc).

If you don't have WinZip on your computer, you can download it for free. It may be a trial version only though.

You may already have some kinda unzip application on your computer. Here's a simple way to check. Click on "My Computer", then go to the drive which contains the file you downloaded (most likely C: drive), the go to the directory that you dl'ed it to. Once you get to the zipped file put your mouse pointer over it and RIGHT click. A menu will open up next to the file icon. If there is a choice that says something like "extract all files" or something about extract then you should be able to unzip. Just choose the extract option with your mouse and voila! It will probably ask you where you want to extract it to also and you can browse to indicate the directory.

If you don't have extract as an option then you'll have to do as turock said and dl winzip. You should be able to get it off www.download.com.